Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0043
Annualized Std Dev 0.2594
Annualized Sharpe (Rf=0%) 0.0168

Row

Daily Return Statistics

Close
Observations 4109.0000
NAs 1.0000
Minimum -0.1760
Quartile 1 -0.0064
Median 0.0000
Arithmetic Mean 0.0002
Geometric Mean 0.0000
Quartile 3 0.0068
Maximum 0.1429
SE Mean 0.0003
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0007
Variance 0.0003
Stdev 0.0163
Skewness -0.3753
Kurtosis 14.5616

Downside Risk

Close
Semi Deviation 0.0118
Gain Deviation 0.0123
Loss Deviation 0.0132
Downside Deviation (MAR=210%) 0.0163
Downside Deviation (Rf=0%) 0.0117
Downside Deviation (0%) 0.0117
Maximum Drawdown 0.4582
Historical VaR (95%) -0.0229
Historical ES (95%) -0.0388
Modified VaR (95%) -0.0236
Modified ES (95%) -0.0324
From Trough To Depth Length To Trough Recovery
2012-11-12 2020-03-18 NA -0.4582 1867 1639 NA
2008-09-29 2008-12-12 2012-01-04 -0.3928 729 44 685
2004-01-21 2004-05-20 2005-06-23 -0.2012 323 83 240
2006-12-28 2007-06-12 2008-09-26 -0.2004 352 96 256
2012-01-06 2012-04-03 2012-05-02 -0.1169 77 58 19

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2002 NA NA NA -0.1 0 0 -0.9 -0.3 1.8 -0.1 0.8 2.1 3.2
2003 0.1 0.3 1 -0.2 -0.6 0.3 0.7 -0.1 0.1 0 -0.3 -0.6 0.6
2004 0.1 0.2 0.2 -0.3 -0.3 -0.3 0 0.9 0.3 0.3 0.3 0.5 2
2005 -0.3 -0.1 2.2 -0.8 -1.2 0 -0.1 1.2 0.7 1.4 3 1.7 7.8
2006 0.6 -0.5 4 1.9 1.9 2.9 0.2 0.7 0.8 1.8 0 -0.5 14.6
2007 -2 0.1 -0.4 -0.4 -2.6 -0.7 0.6 0.1 2.2 -0.8 -0.7 0.6 -3.9
2008 -0.5 -1.7 0.3 1.7 2.1 -0.9 -2.2 -0.7 0.9 0.7 3.3 9.4 12.5
2009 0.3 6.4 6.2 -0.1 1.8 1.3 0.1 0.2 0.4 -1.6 1.4 1.7 19.3
2010 -1.9 -0.7 -0.3 -1.2 3 -0.1 1.3 2.1 0.5 -0.8 1.1 0.4 3.4
2011 -1.6 1.5 -0.2 -1.9 1.2 -0.4 0.5 0.3 0 -1.2 0.3 0.1 -1.4
2012 0 -0.2 -0.7 -0.1 0 -0.2 0 0.2 0.1 0.2 0.1 0.4 -0.3
2013 -0.7 1.2 0 0.3 1 -0.3 -0.6 -0.5 0.3 -0.1 -0.5 -0.8 -0.7
2014 -0.2 0.5 0.8 1 0.7 -0.3 0.1 -0.2 0.8 0.2 1.2 2.1 6.9
2015 0.8 0.2 -2.1 -1.2 -1.3 0.6 -1.7 -2.1 -0.2 0 -0.2 -1.3 -8.1
2016 -1.5 -1.5 0 2.3 1.1 0.1 0.9 -0.7 -0.1 1.3 0.4 -1.9 0.3
2017 -0.4 -0.6 0.1 0.2 -1.2 7.1 -1.4 -1.3 -0.1 -0.7 -0.7 3.1 3.7
2018 -0.1 3.7 -1.7 0.4 -0.2 -0.2 1.7 0.3 0 -0.4 -0.6 -0.6 2.3
2019 -0.9 -0.5 0.6 -0.1 -0.2 -1.2 -0.6 0 -0.5 -0.5 -0.2 1.1 -3.1
2020 -0.7 -2.4 -2.1 -0.1 -0.8 -0.2 0.1 -0.1 3.2 -1.1 -0.2 0.6 -3.7
2021 0.7 -0.4 2.5 NA NA NA NA NA NA NA NA NA 2.9

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2002-04-26  15   SPY    107. -0.019   -0.0486  -0.0627  -0.0542   -0.137   -0.211       NA <NA>     NA    NA       NA
2 2002-04-29  15.1 SPY    107. -0.0049  -0.0373  -0.0669  -0.0615   -0.126   -0.213       NA <NA>     NA    NA       NA
3 2002-04-30  15.1 SPY    108.  0.0094  -0.0241  -0.0586  -0.0219   -0.113   -0.210       NA <NA>     NA    NA       NA
4 2002-05-01  15.1 SPY    109.  0.0122  -0.0021  -0.0418  -0.024    -0.114   -0.204       NA <NA>     NA    NA       NA
5 2002-05-06  15.1 SPY    105. -0.0196  -0.013   -0.0641  -0.0399   -0.156   -0.208       NA <NA>     NA    NA       NA
6 2002-05-07  15.1 SPY    105. -0.0035  -0.0256  -0.0693  -0.0373   -0.173   -0.225       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart